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Author Hol, Eugenie M. J. H.

Title Empirical studies on volatility in international stock markets / by Eugenie M.J.H. Hol
Published Dordrecht ; Boston : Kluwer Academic, [2003]


Location Call no. Vol. Availability
 MELB  332.63222 Hol/Eso  UNAVAILABLE C19
Description xiv, 160 pages : illustrations ; 25 cm
Series Dynamic modeling and econometrics in economics and finance ; v. 6
Dynamic modeling and econometrics in economics and finance ; v. 6
Contents 1. Introduction -- 2. Asset Return Volatility Models -- 3. The Stochastic Volatility in Mean Model: Empirical evidence from international stock markets -- 4. Forecasting with Volatility Models -- 5. Implied Volatility -- 6. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility -- 7. Stock Index Volatility Forecasting with High Frequency Data -- 8. Conclusions -- App. A. Estimation of the SVM Model -- App. B. Estimation of the SVX Models -- App. C. Data and Programs
Summary "The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area."--BOOK JACKET
Bibliography Includes bibliographical references (pages 151-157) and index
Subject Options (Finance) -- Mathematical models.
Stock price forecasting -- Mathematical models.
Securities -- Prices -- Mathematical models.
Stochastic analysis.
LC no. 2003054983
ISBN 1402075197